A note on asymptotic inference for FIGARCH(p,d,q) models

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A note on asymptotic inference for FIGARCH\((p,d,q)\) models

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DOI10.4310/SII.2011.V4.N2.A16MaRDI QIDQ647181zbMATH OpenFDO

Authors Ngai Hang Chan, Chi Tim Ng

Publication date 1 December 2011

Published in Statistics and Its Interface (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84)

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